Aste, Tomaso, Shaw, W., Di Matteo, T. (2010) Correlation structure and dynamics in volatile markets. New Journal of Physics, 12 (8). 085009. ISSN 1367-2630. (doi:10.1088/1367-2630/12/8/085009) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:29170)
| The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. | |
| Official URL: http://dx.doi.org/10.1088/1367-2630/12/8/085009 |
Abstract
The statistical signatures of the 'credit crunch' financial crisis that unfolded between 2008 and 2009 are investigated by combining tools from statistical physics and network theory. We devise measures for the collective behavior of stock prices based on the construction of topologically constrained graphs from cross-correlation matrices. We test the stability, statistical significance and economic meaningfulness of these graphs. The results show an intriguing trend that highlights a consistently decreasing centrality of the financial sector over the last 10 years.
| Item Type: | Article |
|---|---|
| DOI/Identification number: | 10.1088/1367-2630/12/8/085009 |
| Subjects: |
Q Science Q Science > QC Physics Q Science > QC Physics > QC20 Mathematical Physics |
| Divisions: | Divisions > Division of Natural Sciences > Physics and Astronomy |
| Depositing User: | Tomaso Aste |
| Date Deposited: | 20 Mar 2012 16:24 UTC |
| Last Modified: | 05 Nov 2024 10:10 UTC |
| Resource URI: | https://kar.kent.ac.uk/id/eprint/29170 (The current URI for this page, for reference purposes) |
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